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用于多配对统计套利投资组合的偏好图

文章 arXiv papers · 作者: Fredi Šarić et al.
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总结

本文探讨统计套利中的投资组合构建问题：多个配对的信号可能相互冲突，使得难以整合大量证券中的机会。研究提出将证券之间的偏好关系表示为图，再利用这一结构协调相互矛盾的配对交易信号并构建联合投资组合。

报告的实验使用约三十年的历史收益数据，涵盖约 500 只标普 500 成分股。作者报告称，在高交易成本下收益仍具稳健性，而且纳入的证券数量越多，表现越好。这些结果表明，通过偏好关系汇总成对信息，或许有助于将统计套利扩展到孤立配对之外。摘录没有说明评估流程、风险控制或样本外设计，因此仅凭这些发现无法证明该方法在其他市场或时期也会有类似表现。

核心观点

  • 同时使用许多证券配对时，配对策略可能产生相互矛盾的信号。
  • 研究提出使用偏好关系图，在投资组合构建中协调这些信号。
  • 该方法旨在联合利用多种证券之间的套利机会。
  • 实验使用了约 500 只标普 500 成分股的长期收益数据。
  • 报告称，在高交易成本下，投资组合结果仍具稳健性，且纳入更多证券后表现有所改善。

标签

股票配对交易套利投资组合构建
全文
# Statistical arbitrage portfolio construction based on preference relations


# Statistical arbitrage portfolio construction based on preference relations









Statistical arbitrage methods identify mispricings in securities with the goal of building portfolios which are weakly correlated with the market. In pairs trading, an arbitrage opportunity is identified by observing relative price movements between a pair of two securities. By simultaneously observing multiple pairs, one can exploit different arbitrage opportunities and increase the performance of such methods. However, the use of a large number of pairs is difficult due to the increased probability of contradictory trade signals among different pairs. In this paper, we propose a novel portfolio construction method based on preference relation graphs, which can reconcile contradictory pairs trading signals across multiple security pairs. The proposed approach enables joint exploitation of arbitrage opportunities among a large number of securities. Experimental results using three decades of historical returns of roughly 500 stocks from the S\&P 500 index show that the portfolios based on preference relations exhibit robust returns even with high transaction costs, and that their performance improves with the number of securities considered.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。